2 Day Workshop SME Credit Managers Credit Managers Risk Managers Finance Managers SME Branch Managers Analysts

Transcription

1 SME Risk Scoring and Credit Conversion Factor (CCF) Estimation 2 Day Workshop Who Should attend? SME Credit Managers Credit Managers Risk Managers Finance Managers SME Branch Managers Analysts

2 Day - 1 Brief Introduction of Basel II (Credit Risk) Capital Requirements IRB/ Advanced Approaches Implications for institutions with unrated and SME exposures Incentives for following IRB approaches Crude Form of Risk Adjusting Refined Form of Risk Adjusting Incremental Borrowing Treatment CCF Estimation Designing an IRB-Compliant Ratings System What ratings are designed to tell the institution Distinguishing between scoring and rating Overview of how the system should work: industry and practical experience Qualitative scoring Quantitative scoring Validation and stress testing Mapping of scores to ratings Common problems with scoring SMEs Lack of financial information, transparency, credit history, collateral market values, etc. Applying qualitative scoring to SMEs Scoring SMEs with good quality financial statements and financial history Scoring SMEs with poor financial statements Scoring SMEs without financial statements Applying Quantitative scoring to SMEs Statistical scoring methods Building the default database with SME data (or lack thereof!) Defining default events Basel II requirements and definitions Defining default events practically Organising the database for qualitative analysis Organising the database for statistical scoring Database collection deficiency issues - what to do when data is scarce Using the organised data set for estimation - IT considerations Model-building Linear scoring models Estimating such models Major problems and misconceptions with linear scoring (More correct) Logistic and probit scoring models and techniques Estimating such models Difficulties and common problems Common problems with statistical models Overfitting, specification and data issues Strengths and weaknesses of statistical scoring How much data are enough? How should one sample? In-class (and possibly take-home) exercises

3 Day - 2 Applying Quantitative Scoring Structural scoring methods Black-Scholes-Merton (BSM) inspired models BSM as typically applied to public firms BSM applied to private SMEs (KMV's technique) Applying BSM to SMEs more generally Identifying proxies for key variables Using proxies in the model Examples and exercises Strengths and weaknesses of the approach Mixing Statistical and Analytical models Scoring of SME portfolios Actuarial Scoring Models CreditRisk+ and other common actuarial approaches Using the organised data set for estimation and calibration Applying actuarial models to retail portfolios Strengths and weaknesses of the approach Validating and testing Scoring Models Establishing model accuracy with accuracy ratios Comparing Mann Whitney U and cumulative accuracy ratio methods - all are not equal Setting rejection cut-off criteria for customers Insights Mapping scores to ratings Notching internal ratings to external ratings

4 Day - 2 CONTD... Risk Component estimation Probability of Default (PD) estimation Standard cohort methods Smoothing methods Resampling methods Low default portfolio PD estimation methods Duration-based methods Strengths and weaknesses of each method Loss Given Default (LGD) estimation Basel definitions (and confusion) about LGD What to do with negative losses (zero and negative LGD values) Designing your research group to assess stylised facts of LGD for your portfolio LGD modelling efforts Workout, actuarial, risk-neutral and other methods Strengths and weaknesses of each method Obtaining your LGD/facility scale Estimating Exposure at Default (EAD) Attach EAD to customers or facilities? Some methods used in industry Analytical approaches Empirical approaches Strengths and weaknesses of each approach Provisioning and economic capital determination Expected Loss (EL) and Unexpected Loss (UL) determination with uncorrelated exposures EL and UL with correlated portfolio exposures Using EL for provisioning Alternative uses of EL for scale considerations Using UL for economic capital assessment

5 Booking Form Program Price - USD 1,700 Best Price - USD 1,400 I confirm my booking as follows: 1st delegate: Number of delegates: Rate per delegate: Course date: Total, including VAT: Signature: Payment Option (Please Choose one) - Payment is required to be made in 1 week after the registration of participant(s) Direct Deposit via Bank Transfer Please invoice my company at the following address: 2nd delegate: 3rd delegate: Attendees are responsible for their own travel and accommodation. Cancellation Policy - 100% less Bank charges refund on cancellations Call Us Visit -